Relevant Works.
Closest to ours are [1]} and the recent [2]} where the authors point out on a 2D toy example that the uncertainty estimates of Deep Ensembles [3]} and Deep Kernel Learning [4]} models, respectively, are low on points that are “far away” from the regions where the training data are located.
[5]} point out limitations in the expressiveness of the predictive uncertainty estimate given by mean-field variational inference, in particular that the method fails to give calibrated uncertainty estimates in between separated regions of observations.
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